BDX Options History — September 2015

In September 2015, BDX traded between $100.16 and $107.09. ATM implied volatility averaged 22.6%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 2.3% (HV 20d: 24.9%). Max pain ranged from $103.54 to $111.21. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.99.

Notable Days

  • 2015-09-28: Highest Volume — 5,844 contracts
  • 2015-09-28: Largest IV spike — 34.8% change
  • 2015-09-01: Highest IV Rank — 100.0%
  • 2015-09-01: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.54$100.16$107.09$103.35$101.79
Max Pain$104.82$103.54$111.21$111.21$103.54
ATM IV22.6%18.1%32.4%32.4%24.7%
Expected Move6.4%5.2%9.3%9.3%7.1%
HV 20d24.9%22.5%28.4%22.9%24.0%
HV 60d18.8%17.4%21.3%17.6%21.3%
IV Rank51.6%28.8%100.0%100.0%61.6%
IV Percentile87.8%64.7%100.0%100.0%96.4%
Term Structure0.3%-8.9%2.7%-8.9%0.1%
VWIV22.8%17.4%29.9%24.6%28.5%
Skew 25d4.1%2.7%6.4%5.5%6.4%
Skew 10d8.3%3.1%12.3%8.7%12.3%
Call IV 25d20.7%16.0%27.1%27.1%22.0%
Put IV 25d24.9%20.1%32.5%32.5%28.4%
Bid-Ask Spread %86.8378.9498.4898.4886.84
Gamma HHI0.270.130.780.230.15
Net GEX-3.1M-12.0M548.5K-3.9M-954.5K
Net DEX65.1M9.8M100.3M90.4M26.9M
Net VEX-201.4K-249.2K-170.8K-249.2K-188.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.990.487.381.392.65
Total Volume2,123.7623045,8443,4153,310
Total OI22,766.1911,75629,31627,01615,835

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$103.35$111.2132.4%9.3%22.9%100.0%24.6%5.5%-8.9%-3.9M90.4M-249.2K1.3998.48N/AN/A1,4261,98911,37815,638
2015-09-02$104.65$111.2124.9%7.1%23.2%64.7%23.6%3.5%-0.7%-4.2M93.7M-239.5K1.1297.93N/AN/A9771,09112,21415,782
2015-09-03$104.81$103.5422.9%6.4%22.5%55.5%24.1%4.4%1.2%-4.5M93.7M-237.2K2.0478.94N/AN/A5221,06612,72315,801
2015-09-04$103.36$107.3824.1%7.0%22.7%61.1%24.5%3.8%-0.5%-3.9M98.4M-221.7K2.2681.87N/AN/A4711,06212,77615,774
2015-09-08$105.86$103.5426.0%6.8%24.5%68.1%21.7%5.2%-0.3%-5.0M86.6M-228.9K0.5385.47N/AN/A23212212,79515,568
2015-09-09$104.17$103.5422.1%6.3%24.8%49.1%24.2%3.0%2.2%-4.5M95.3M-208.9K2.8883.20N/AN/A3591,03312,89215,713
2015-09-10$103.57$103.5422.3%6.4%24.8%49.7%23.2%3.5%0.5%-4.2M98.3M-202.3K2.3779.05N/AN/A4481,06012,90115,712
2015-09-11$104.13$103.5422.0%6.3%25.0%48.5%21.9%3.0%0.7%-4.3M100.0M-195.6K2.0582.46N/AN/A43488912,99715,758
2015-09-14$104.41$103.5422.4%6.4%24.9%50.6%21.6%4.0%0.1%-4.4M100.3M-186.5K1.9483.93N/AN/A47291613,00415,685
2015-09-15$105.22$103.5421.6%6.2%25.2%46.7%22.5%3.6%1.1%-5.1M96.6M-185.4K1.8487.19N/AN/A10719713,02815,554
2015-09-16$106.60$103.5420.1%5.8%25.8%38.8%22.4%4.2%1.0%-7.9M85.1M-190.1K1.9287.14N/AN/A51699113,08415,526
2015-09-17$107.09$103.5419.1%5.5%25.9%33.9%21.9%2.7%1.5%-12.0M79.6M-186.9K0.6790.30N/AN/A1,49799613,11215,609
2015-09-18$106.27$103.5418.4%5.3%25.3%30.5%18.4%3.6%2.7%-562.4K98.4M-183.8K0.4881.92N/AN/A2,4491,17913,70615,610
2015-09-21$106.60$103.5418.1%5.2%25.1%28.9%18.5%3.3%2.5%277.6K11.0M-191.3K0.6183.52N/AN/A9435745,6256,131
2015-09-22$105.14$103.5420.1%5.8%24.5%38.9%19.2%3.2%1.6%227.5K14.7M-187.4K0.8085.83N/AN/A7756215,9896,188
2015-09-23$106.85$103.5418.1%5.2%25.2%28.8%17.4%4.8%2.4%502.4K9.8M-202.3K0.7688.80N/AN/A8096186,3406,271
2015-09-24$106.50$103.5418.4%5.3%24.9%30.4%18.4%3.3%2.3%548.5K10.0M-200.1K0.7794.50N/AN/A9517306,3686,276
2015-09-25$104.47$107.3821.1%6.0%24.7%43.7%21.6%4.2%0.8%294.6K16.0M-193.1K2.2694.58N/AN/A4691,0626,9066,430
2015-09-28$100.16$107.3828.4%8.1%28.4%80.0%29.9%4.9%-2.9%-726.6K30.4M-170.8K7.3889.67N/AN/A6975,1476,9216,873
2015-09-29$100.44$103.5427.2%7.8%28.4%74.0%29.8%6.4%-1.4%-1.2M32.4M-180.1K5.0781.72N/AN/A8884,5047,1658,432
2015-09-30$101.79$103.5424.7%7.1%24.0%61.6%28.5%6.4%0.1%-954.5K26.9M-188.6K2.6586.84N/AN/A9072,4037,2868,549